Similar Search Results

Point process models for extreme returns : harnessing implied volatility

Herrera, Rodrigo; Clements, Adam - In: Journal of banking & finance 88 (2018), pp. 161-175

Persistent link: https://www.econbiz.de/10011962603

Quantifying endogeneity of cryptocurrency markets

Mark, Michael; Sila, Jan; Weber, Thomas A. - 2019

In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that...

Persistent link: https://www.econbiz.de/10012114920

Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67

Persistent link: https://www.econbiz.de/10011813162

Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data

Lee, Kyungsub; Seo, Byoung Ki - In: Journal of economic dynamics & control 79 (2017), pp. 154-183

Persistent link: https://www.econbiz.de/10011817616

A slightly depressing jump model : intraday volatility pattern simulation

Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224

Persistent link: https://www.econbiz.de/10011905864

Performance of information criteria for selection of Hawkes process models of financial data

Chen, Jing; Hawkes, A. G.; Scalas, E.; Trinh, M. - In: Quantitative finance 18 (2018) 2, pp. 225-235

Persistent link: https://www.econbiz.de/10011905908

Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events

Yang, Steve Y.; Liu, Anqi; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 295-310

Persistent link: https://www.econbiz.de/10011906342

Optimal portfolio choice in a jump-diffusion model with self-exciting

Bian, Baojun; Chen, Xinfu; Zeng, Xudong - In: Journal of mathematical finance 9 (2019) 3, pp. 345-367

Persistent link: https://www.econbiz.de/10012210282

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178

Persistent link: https://www.econbiz.de/10012194752

Disentangling and quantifying market participant volatility contributions

Rambaldi, Marcello; Bacry, Emmanuel; Muzy, Jean-François - In: Quantitative finance 19 (2019) 10, pp. 1613-1625

Persistent link: https://www.econbiz.de/10012194810

A service of the

zbw